Modelling mortality dependence with regime-switching copulas
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Cites work
- A gravity model of mortality rates for two related populations
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A step-by-step guide to building two-population stochastic mortality models
- Age-specific copula-AR-GARCH mortality models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Dynamic linear models with Markov-switching
- Dynamic mortality factor model with conditional heteroskedasticity
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- Measuring Basis Risk in Longevity Hedges
- Modeling and forecasting U.S. mortality. (With discussion)
- Modeling longevity risk with generalized dynamic factor models and vine-copulae
- Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach
- Modeling period effects in multi-population mortality models: applications to Solvency II
- Modelling adult mortuality in small populations the saint model
- Multi-population mortality models: a factor copula approach
- Pair-copula constructions of multiple dependence
- Pricing and securitization of multi-country longevity risk with mortality dependence
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Regime switches in the dependence structure of multidimensional financial data
- Risk management with high-dimensional vine copulas: an analysis of the Euro Stoxx 50
- Selecting and estimating regular vine copulae and application to financial returns
- Truncated regular vines in high dimensions with application to financial data
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Vines -- a new graphical model for dependent random variables.
Cited in
(10)- Modelling mortality dependence: an application of dynamic vine copula
- Longevity risk and capital markets: the 2019--20 update
- How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond
- Mortality regimes and pricing
- Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach
- Multi-population mortality models: a factor copula approach
- scientific article; zbMATH DE number 7365915 (Why is no real title available?)
- Applying Markov-switching Bayesian vector autoregression to an age-partitioned Lee-Carter mortality model
- Quantile-based interpretable neural network models: mortality forecasting and actuarial simulations
- Forecast mortality rates with copula-based approaches: novel evidence from integrated reconciliation
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